Stochastic dominance and behavior towards risk: The market for Internet stocks

Fong, Wai Mun; Lean, Hooi Hooi; Wong, Wing Keung

doi:10.1016/j.jebo.2008.03.013

Cited by 99 publications

(48 citation statements)

References 51 publications

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“…One may incorporate other information, for example, the economic and financial environment (Fong, Lean, and Wong, 2008), the mean-variance rule (Wong and Ma, 2008;Bai, Hui, Wong, and Zitikis, 2012), CAPM statistics (Leung, Ng and Wong, 2012), VaR rule (Ma and Wong, 2010), portfolio optimization (Bai, Liu, and Wong, 2009), and portfolio diversification (Egozcue and Wong, 2010) into the theory developed in the paper to make better investment decisions.…”

Section: Discussionmentioning

confidence: 99%

A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises

Guo

McAleer

Wong

et al. 2017

The North American Journal of Economics and Finance

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractIn this paper, we introduce a new Bayesian approach to explain some market anomalies during financial crises and subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to incorporate the impact of financial crises. We further assume the earning shock follows an exponential family distribution to take care of symmetric as well as asymmetric information. By using this model setting, we develop some properties on the expected earnings shock and its volatility, and establish properties of investor behavior on the stock price and its volatility during financial crises and subsequent recovery. Thereafter, we develop properties to explain excess volatility, short-term underreaction, long-term overreaction, and their magnitude effects during financial crises and subsequent recovery.

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Section: Discussionmentioning

confidence: 99%

A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises

Guo

McAleer

Wong

et al. 2017

The North American Journal of Economics and Finance

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“…Post and Levy (2005) conclude that investors are risk averse in bear markets and risk seeking in bull markets, and hence, investor preferences are best represented by the reverse Sshaped utility function. In addition, Fong, Lean, and Wong (2008) and Post, Van Vliet, and Levy (2008) also find evidence to support the reverse S-shaped utility function. Readers can also refer to Broll et al (2010) and Egozcue et al (2011) for more properties on the theory of reverse S-shaped utility functions.…”

Section: Theories Of Risk Preferencesmentioning

confidence: 88%

Theories of Risk: Testing Investor Behaviour on the Taiwan Stock and Stock Index Futures Markets

2017

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“…This kind of studies have wide implications for investment strategies (Fong, et al, 2005(Fong, et al, , 2008Shanmugasundaram and Balakrishnan, 2010;McAleer, et al, 2016); thus, understanding investors' behavior will be useful in giving investment advice and making decisions. For example, Wang, et al (2011) suggest that familiarity bias is common among private investors and that it affects the investors' risk perceptions of investment products.…”

Section: Literature Reviewmentioning

confidence: 99%

Empirical study on conservative and representative heuristics of Hong Kong small investors adopting momentum and contrarian trading strategies

Chow

Hon

Wong

et al. 2018

IJRM

Self Cite

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Abstract:Recently, a new Bayesian approach has been developed to explain some market anomalies. In this paper, we conduct a questionnaire survey to examine whether the theory holds empirically by studying the conservative and representative heuristics by Hong Kong small investors who adopt momentum and/or contrarian trading strategies. In addition, our study provides evidence for the small investors on their time horizon and risk tolerance when facing uncertainty in their investments.Our findings are useful to small investors in their investment decision making and useful to financial advisors in providing service to small investors.

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Stochastic dominance and behavior towards risk: The market for Internet stocks

Cited by 99 publications

References 51 publications

A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises

A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises

Theories of Risk: Testing Investor Behaviour on the Taiwan Stock and Stock Index Futures Markets

Empirical study on conservative and representative heuristics of Hong Kong small investors adopting momentum and contrarian trading strategies

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